Testing for simultaneous jumps in case of asynchronous observations

DOI10.3150/17-BEJ968zbMath1415.62040arXiv1606.07246MaRDI QIDQ1750093

Mathias Vetter, Ole Martin

Publication date: 18 May 2018

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1606.07246

zbMATH Keywords

central limit theoremstable convergenceasynchronous observationscommon jumpsItô semimartingalehigh-frequency statisticsbivariate Itô semimartingale

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Central limit and other weak theorems (60F05) Generalizations of martingales (60G48) Stochastic integrals (60H05)

Related Items (2)

Laws of large numbers for Hayashi-Yoshida-type functionals ⋮ Asymptotic properties of the realized skewness and related statistics

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